| Metric | Strategy | Benchmark |
|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% |
| Time in Market | 100.0% | 1.0% |
| Total Return | -8.36% | -69.39% |
| CAGR﹪ | -5.33% | -52.4% |
| Sharpe | -0.01 | -0.04 |
| Prob. Sharpe Ratio | 43.0% | 20.09% |
| Smart Sharpe | -0.01 | -0.04 |
| Sortino | -0.01 | -0.05 |
| Smart Sortino | -0.01 | -0.05 |
| Sortino/√2 | -0.01 | -0.03 |
| Smart Sortino/√2 | -0.01 | -0.03 |
| Omega | 1.0 | 1.0 |
| Max Drawdown | -276.56% | -344.51% |
| Longest DD Days | 175 | 442 |
| Volatility (ann.) | 2.13% | 3.76% |
| R^2 | 0.0 | 0.0 |
| Information Ratio | 0.0 | 0.0 |
| Calmar | -0.33 | -0.67 |
| Skew | 0.07 | -14.12 |
| Kurtosis | 40.72 | 6038.3 |
| Expected Daily | -0.0% | -0.0% |
| Expected Monthly | -0.97% | -5.14% |
| Expected Yearly | -9.33% | -40.99% |
| Kelly Criterion | -31.65% | -19.36% |
| Risk of Ruin | 0.0% | 0.0% |
| Daily Value-at-Risk | -0.18% | -0.32% |
| Expected Shortfall (cVaR) | -0.18% | -0.32% |
| Max Consecutive Wins | 14 | 1 |
| Max Consecutive Losses | 17 | 1 |
| Gain/Pain Ratio | -0.03 | -0.16 |
| Gain/Pain (1M) | -0.08 | -0.34 |
| Payoff Ratio | 0.61 | 0.82 |
| Profit Factor | 1.0 | 0.84 |
| Common Sense Ratio | 1.0 | - |
| CPC Index | 0.31 | 0.32 |
| Tail Ratio | 1.0 | - |
| Outlier Win Ratio | 2.05 | 74.81 |
| Outlier Loss Ratio | 2.02 | 0.03 |
| MTD | 0.32% | 3.0% |
| 3M | 8.42% | 3.16% |
| 6M | 1.62% | -60.71% |
| YTD | -10.64% | -69.94% |
| 1Y | 6.98% | -85.15% |
| 3Y (ann.) | -5.33% | -52.4% |
| 5Y (ann.) | -5.33% | -52.4% |
| 10Y (ann.) | -5.33% | -52.4% |
| All-time (ann.) | -5.33% | -52.4% |
| Best Day | 3.5% | 23.07% |
| Worst Day | -3.6% | -27.82% |
| Best Month | 20.05% | 40.63% |
| Worst Month | -22.98% | -34.07% |
| Best Year | -4.15% | -15.23% |
| Worst Year | -14.22% | -58.92% |
| Avg. Drawdown | -193.72% | -160.41% |
| Avg. Drawdown Days | 41 | 116 |
| Recovery Factor | -0.51 | -0.9 |
| Ulcer Index | 1.0 | 0.99 |
| Serenity Index | -0.0 | -0.0 |
| Avg. Up Month | 4.81% | 21.51% |
| Avg. Down Month | -8.26% | -15.16% |
| Win Days | 50.04% | 46.11% |
| Win Month | 45.0% | 40.0% |
| Win Quarter | 50.0% | 50.0% |
| Win Year | 0.0% | 0.0% |
| Beta | -0.0 | - |
| Alpha | -0.0 | - |
| Correlation | -0.02% | - |
| Treynor Ratio | 161560.69% | - |
| Year | Benchmark | Strategy | Multiplier | Won |
|---|---|---|---|---|
| 2021 | 0.55 | 2.28 | 4.14 | + |
| 2022 | -69.94 | -10.64 | 0.15 | + |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2021-03-11 | 2021-03-11 | -276.56 | 0 |
| 2021-05-21 | 2021-10-01 | -274.14 | 132 |
| 2021-10-01 | 2022-02-24 | -242.03 | 146 |
| 2021-05-20 | 2021-05-21 | -216.26 | 0 |
| 2021-03-11 | 2021-03-19 | -204.35 | 7 |
| 2021-03-11 | 2021-03-11 | -188.41 | 0 |
| 2021-03-19 | 2021-04-22 | -186.79 | 34 |
| 2021-03-11 | 2021-03-11 | -181.21 | 0 |
| 2022-02-24 | 2022-08-19 | -180.38 | 175 |
| 2021-04-22 | 2021-04-23 | -177.89 | 0 |